On the Mellin transforms of the perpetuity and the remainder variables associated to a subordinator

نویسندگان

  • Francis HIRSCH
  • Marc YOR
چکیده

Results about the laws of the perpetuity and remainder variables associated to a subordinator are presented, with particular emphasis on their Mellin transforms, and multiplicative infinite divisibility property. Previous results by Bertoin-Yor (2001) are incorporated in our discussion; important examples when the subordinator is the inverse local time of a diffusion are exhibited. Results of Urbanik (1995) are also discussed in detail; they appear to be too little known, despite the fact that quite a few of them have priority upon other works in this area.

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تاریخ انتشار 2011